Press Release

Morningstar DBRS Upgrades and Confirms Credit Ratings on Hermitage 2023 plc

Consumer/Commercial Leases
June 24, 2025

DBRS Ratings Limited (Morningstar DBRS) took the following credit rating actions on the bonds issued by Hermitage 2023 plc (the Issuer):

-- Class A Loan Notes confirmed at AAA (sf)
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AAA (sf)
-- Class C Notes upgraded to AAA (sf) from AA (high) (sf)
-- Class D Notes upgraded to AA (sf) from A (high) (sf)

The credit ratings on the Class A Notes and Class A Loan Notes (together, the Class A Notes), Class B and Class C Notes address the timely payment of interest and ultimate payment of principal on or before the final maturity date in September 2033. The credit ratings on the Class D Notes addresses ultimate payment of interest and ultimate payment of principal on or before the final maturity date, as well as timely payment of interest while the senior-most class outstanding.

CREDIT RATING RATIONALE
The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of the May 2025 payment date;
-- Updated probability of default (PD), loss given default (LGD), and expected loss assumptions for the remaining collateral pool, considering the updated quarterly vintage performance data received; and
-- Current available credit enhancement (CE) to the notes to cover the expected losses at their respective credit rating levels.

Hermitage 2023 plc represents the issuance of notes backed by a portfolio of equipment hire purchase (HP) and finance lease receivables granted by Haydock Finance Limited (Haydock, the originator or the seller) to borrowers in England, Wales, and Scotland. Haydock also services the portfolio.

PORTFOLIO PERFORMANCE
As of the May 2025 payment date, loans that were one-to-two-month delinquent represented 0.8% of the outstanding portfolio balance. No loans were delinquent more than two months. Gross cumulative defaults represented 4.99% of the original portfolio balance.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS received updated historical performance data from the originator and conducted a loan-by-loan analysis of the remaining pool of receivables. Morningstar DBRS updated its base case PD at the B (low) (sf) rating level to 6.9% down from 7.3% and maintained its base case LGD assumption at 40.0%.

CREDIT ENHANCEMENT
CE is provided by the subordination of the junior notes. As of the May 2025 payment date, CE to the Class A, Class B, Class C, and Class D Notes was 81.6%, 59.5%, 37.4% and 22.2%, respectively, up from 43.5%, 31.7%, 20.0% and 11.8%, at the last annual review, respectively.

The transaction benefits from a liquidity reserve split into Class A/B, Class C and Class D subledgers. All the subledgers were fully funded at closing. Amounts standing to the credit of the liquidity reserve ledgers are available to cover senior expenses and fees and to pay interest on their related and more senior-ranking classes of notes. The amortising liquidity reserve is set at 1.75% of the aggregate principal amount outstanding on the Class A Loan Notes and Class A Notes to Class D Notes. As of May 2025, all liquidity reserve ledgers were funded to their targets.

U.S. Bank Europe DAC, U.K. Branch (US Bank) acts as the account bank for the transaction. Based on the Morningstar DBRS private rating of US Bank, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the notes, as described in Morningstar DBRS's "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Citigroup Global Markets Limited (Citi) is the swap counterparty for the transaction. Morningstar DBRS' private credit rating on Citi is consistent with the First Rating Threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings
https://dbrs.morningstar.com/research/454196 .

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:
All figures are in British pound sterling unless otherwise noted.

The principal methodology applicable to the credit ratings is: "Master European Structured Finance Surveillance Methodology" (4 February 2025) https://dbrs.morningstar.com/research/447080.

Other methodologies referenced in this transaction are listed at the end of this press release.

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include the following provided by Haydock:
-- Quarterly credit defaults from Q1 2017 to January 2025 split into total, total excluding Coronavirus Business Interruption Loan Scheme (CBILS), Recovery Loan Scheme (RLS), and Growth Guarantee Scheme (GGS), and total excluding CBILS, RLS, GGS, and one-off items;
-- Quarterly recovery data from Q1 2017 to January 2025 split into total, total excluding CBILS, RLS, and GGS, and total excluding CBILS, RLS, GGS, and one-off items;
-- Monthly dynamic prepayment data from January 2017 to January 2025;
-- Monthly dynamic arrears from January 2017 to January 2025;
-- Loan tape as of 31 March 2025 and its related amortisation schedule: and,
-- Investor Report relating to the May 2025 payment date.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit rating, Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this issuer took place on 25 June 2024, when Morningstar DBRS upgraded its credit rating on the Class B, Class C and Class D Notes to AAA (sf), AA (high) (sf) and A (high) (sf), respectively and confirmed its credit rating on the Class A Notes at AAA (sf).

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):

-- Morningstar DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the Issuer at the B (low) (sf) credit rating level are 6.9% and 40.0%, respectively
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

Class D Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings GmbH for use in the European Union.

Lead Analyst: Petter Wettestad, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 26 June 2020

DBRS Ratings Limited
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Registered and incorporated under the laws of England and Wales: Company No. 7139960

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024)
https://dbrs.morningstar.com/research/443196
-- Master European Structured Finance Surveillance Methodology (4 February 2025)
https://dbrs.morningstar.com/research/447080
-- Rating European Structured Finance Transactions Methodology (17 June 2025)
https://dbrs.morningstar.com/research/456339
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024) https://dbrs.morningstar.com/research/439583
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025)
https://dbrs.morningstar.com/research/454196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024)
https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024)
https://dbrs.morningstar.com/research/439913

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.

Ratings

Hermitage 2023 plc
  • Date Issued:Jun 24, 2025
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKE
  • Date Issued:Jun 24, 2025
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKE
  • Date Issued:Jun 24, 2025
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKE
  • Date Issued:Jun 24, 2025
  • Rating Action:Upgraded
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKE
  • Date Issued:Jun 24, 2025
  • Rating Action:Upgraded
  • Ratings:AA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKE
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.